A note on the tail behavior of randomly weighted and stopped dependent sums

Abstract

In this paper, we deal with the tail behavior of the maximum of randomly weighted and stopped sums. We assume that primary random variables (with a certain dependence structure) are identically distributed with heavy-tailed distribution function and random weights are nonnegative. In this note, we specify some conditions for the (weak) asymptotics of the tail of random maximum.

Keywords

• heavy tails
• extended negative dependence
• asymptotic tail probability